stochastic volatility model

常見例句

Aimed at this case, this paper try to construct a simple stochastic volatility model— volatility following a finite Markov chain.
針對這種情況，本文試圖建立一種比較簡單的隨機波動率模型—— 波動率服從有限馬氏鏈的模型。
The author further compares the ASVJD model with the Geometric Brownian model, CKLS model, Geometric Brownian with Jump model and the Affine Stochastic Volatility model in demonstration.
同時，分別將其與幾何布朗運動模型、CKLS模型、帶跳躍的幾何布朗運動模型和仿射隨機波動模型進行了比較研究。
Empirical results on Chinese stock market indicate that stochastic volatility model based on the two index outperforms those based on one index in capturing volatility character and market risk.
利用中國股市數(shù)據(jù)進行的實證結(jié)果表明，與單測度指標的隨機波動率模型相比，基于兩個測度指標的隨機波動率模型能更好地描述股票市場波動率和市場波動風險。